Synthetic securitisation system

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Synthetic securitisation system

To reduce their “regulatory capital”, banks have, in recent years, been making use of synthetic securitisation: no need to sell assets; all they have to do is transfer the risks. This is much simpler legally, much quicker and, therefore, much less expensive.
This financial innovation has been made possible by “credit derivatives”, which make it possible to transfer a risk without selling the underlying asset.

Background

Securitisation involves selling a portfolio of assets (and their risks) converted into securities, to third parties. It is a long, costly and complex operation. This is why, to improve its CET1 capital ratio, our client wanted to adopt a synthetic securitisation system.

 

Objectives

Establish a synthetic securitisation system using the agile method.

 

Methodology

  • Coordination of work and project committees (identification of needs)
  • Coordination of project management development (team of 4 people)
  • Organisation of Agile ceremonies (daily stand-up meeting, choice of user stories via planning poker)
  • Identification and specification of data sources
  • Functional acceptance testing: definition of test cases, performance of acceptance testing for each User Story

Deliverables

  • Drafting of functional specifications
  • Population of datawarehouse with the various management rules
  • Configuration of Business Objects (classes and objects)
  • Reporting of anomalies to the project management team in the User Stories with Jira
  • Go-live
  • User support

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